Money Supply Rules and Exchange Rate Dynamics
نویسندگان
چکیده
منابع مشابه
Search-theoretic Money, Capital and Exchange Rate Fluctuationsf
We explore how the underlying informational frictions, or anonymity, that give rise to the existence of monetary exchange affect international exchange rate dynamics. Using a two-country, two-sector model, we show that information friction implies a particular restriction on domestic relative pricing dynamics and hence on international nominal and real exchange rate determination. Furthermore, ...
متن کاملInvestment Driven Exchange Rate Dynamics
Macroeconomic exchange rate research has primarily been focused on the consumption correlation puzzle identi ed by Backus and Smith (1993). This research has largely ignored the dynamic correlations present between exchange rates and other macro variables such as output, and investment. In this paper I build evidence that a relationship may exist between gross national investment and exchange r...
متن کاملNonlinearities and Real Exchange Rate Dynamics
We con...rm the presence of substantial non-linearities in real exchange rate dynamics at the sectoral level. There exists zones where arbitrage is not pro...table because of transaction costs, and thus mean reversion is inexistent. We compute the speed of mean reversion of sector speci...c real exchange rates, conditional on the existence of arbitrage as implied by our non-linear estimations, ...
متن کاملPortfolio Reallocation and Exchange Rate Dynamics
This paper explains exchange rate dynamics by linking nancial customersforeign exchange order ow with their dynamic portfolio reallocation. For any currency pair in a particular period, one currency has higher assets return than the other and can be considered the high-return-currency (HRC). Financial institutions attempt to hold more HRC assets when they become more risk-loving or the relat...
متن کاملHeterogeneous Expectations, Exchange Rate Dynamics and Predictability
This paper proposes a simple chartist-fundamentalist model in which we allow for nonlinear time variation in chartists’ extrapolation rate. Estimation of the model using monthly data for the major currencies vis-a-vis the US dollar shows that the model is significant in-sample and that it has out-of-sample predictive power for some of the currencies. We investigate the power of tests of the ran...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Economic Journal
سال: 2012
ISSN: 1016-8737,1743-517X
DOI: 10.1080/10168737.2011.558517